IvyDB Europe
The Gold Standard in Historical Options Data for
European Markets
Following the success of its US counterpart, IvyDB Europe was launched in 2008. It has since become the industry standard for historical option prices, and implied volatility data in the European markets. Used by over 300 institutions, IvyDB Europe contains accurate end-of-day prices for options along with their correctly calculated implied volatilities and greeks. Make more informed investment decisions with the gold standard in historical options data for European Markets.
Comprehensive European Option Pricing Data, Volatility, & Analytics
IvyDB Europe covers over 900 optionable securities (equities and indices), from all major European exchanges, including the UK, France, Germany, Switzerland, Netherlands, Sweden, Belgium, Spain, and Italy. Historical data and daily updates are available for most securities since January 2002. The data includes daily option pricing information (settlement prices) and all historical distributions and corporate actions, such as splits, mergers, and name changes.
We match each option price with the security price for accurate implied volatility and greeks calculations along with the option sensitivities (delta, gamma, vega, and theta). In addition, a standardized constant-maturity volatility surface is calculated for each security every day, including interpolated implied volatilities over a wide range of expirations and moneyness (by delta). You can use our volatility surface to create your own volatility trading strategies, whether simple or complex.
Our database handles underlying symbol changes, dividend payments, and split/spinoff adjustments for you automatically. A permanent ID is associated with each instrument to allow it to be easily tracked over time even when the option symbol, strike price, or deliverables change. We also include a record of underlying security name and ticker changes to allow you to search with ease for options on securities that either no longer trade or trade under a new ticker symbol.
IvyDB Europe is updated daily to incorporate new end-of-day prices in all the equity and option exchanges we follow. A daily patch file is also provided which contains corrections to previous prices or calculations when needed. Your IvyDB database is always current and ready to use.
OptionMetrics clients receive dedicated support and expert guidance from day one. We provide step-by-step installation guides as well as in-depth reference manuals for your day-to-day use. Should you have any questions, our support team is available during working hours (Eastern Time) Monday through Friday; for urgent issues, assistance is available 24x7.
The Latest News & Events
Tariffs are causing stock-market panic and leading investors into riskier options trading.
Tariff uncertainty is driving record options trading, with 0DTE trades making up 54% of S&P 500 options activity. “It’s definitely possible” that these trades impact volatility, says Garrett DeSimone, Head Quant at OptionMetrics, “but much of this news coincides with ...
Read moreOptionMetrics Exhibiting at Quant Strats NYC
We're at Quant Strats NYC, connecting with quant strategists, hedge funds, and traders on leveraging data to generate alpha, manage risk, and optimize portfolios. Visit us to explore our latest options analytics, including IvyDB Implied Dividend, IvyDB Futures, IvyDB Beta, ...
Read moreGoldman: $2.7 trillion of options set for expiration
Goldman Sachs' analysis, supplemented by OptionMetrics data, provides a detailed breakdown of the $2.7 trillion options expiration event. The accompanying chart highlights the composition of expiring contracts, showcasing the dominance of S&P 500 AM-settled options ($1.2T), alongside single-stock options ($615B), ETFs, ...
Read moreContact Us for More Information
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